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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: e(sample) after xtivreg2 |

Date |
Tue, 12 Apr 2011 14:06:19 +0100 |

Chris, To answer your specific question below: > Can someone explain what is going on here? Is xtivreg2 actually using > the 172 observations or not? -xtivreg2- includes the 172 singletons in e(sample). But of course the FE (or FD) transformation effectively wipes these out, because there's no within-group variation when there's only one observation in the group. -xtivreg2- warns about this. -xtreg- also does not - cannot! - use singletons to estimate the slope coefficients with the FE estimator. However, -xtreg- reports a constant term, and if I'm not mistaken, it *does* use the singletons for estimating that. I hope this clarifies things. Cheers, Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Chris Parker > Sent: Tuesday, April 12, 2011 12:52 PM > To: statalist@hsphsun2.harvard.edu > Subject: st: e(sample) after xtivreg2 > > Hello statalist, > > I am using xtivreg2 from ssc to perform two-way error clustering. > However I would also like to look at the iid errors as well. I've > noticed that xtreg is faster that xtivreg2 so I wanted to calculate > the iid errors using xtreg and then use xtivreg2 only to calculate the > two-way clustered errors. > > . xtreg highprice volume, fe > > Fixed-effects (within) regression Number of obs > = 1845327 > Group variable: cropstat~tid Number of > groups = 8825 > > R-sq: within = 0.0005 Obs per > group: min = 1 > between = 0.0006 > avg = 209.1 > overall = 0.0000 > max = 873 > > F(1,1836501) > = 852.88 > corr(u_i, Xb) = -0.0140 Prob > F > = 0.0000 > > -------------------------------------------------------------- > ---------------- > highprice | Coef. Std. Err. t P>|t| > [95% Conf. Interval] > -------------+------------------------------------------------ > ---------------- > volume | -.0037862 .0001296 -29.20 0.000 > -.0040403 -.0035321 > _cons | 1595.633 .4527128 3524.60 0.000 > 1594.745 1596.52 > -------------+------------------------------------------------ > ---------------- > sigma_u | 3092.7207 > sigma_e | 602.9378 > rho | .96338464 (fraction of variance due to u_i) > -------------------------------------------------------------- > ---------------- > F test that all u_i=0: F(8824, 1836501) = 1758.26 > Prob > F = 0.0000 > r; t=28.67 12:32:57 > > Which, on my four core license takes 28.67 seconds and uses 1,845,327 > observations. Now when I run the same regression using xtivreg2 I am > issued a warning that singleton groups are detected and 172 > observations will not be used: > > > . xtivreg2 highprice volume, fe > Warning - singleton groups detected. 172 observation(s) not used. > > FIXED EFFECTS ESTIMATION > ------------------------ > Number of groups = 8653 Obs per > group: min = 2 > > avg = 213.2 > > max = 873 > > OLS estimation > -------------- > > Estimates efficient for homoskedasticity only > Statistics consistent for homoskedasticity only > > Number > of obs = 1845155 > F( > 1,1836501) = 852.88 > Prob > > F = 0.0000 > Total (centered) SS = 6.67941e+11 > Centered R2 = 0.0005 > Total (uncentered) SS = 6.67941e+11 > Uncentered R2 = 0.0005 > Residual SS = 6.67631e+11 Root > MSE = 602.9 > > -------------------------------------------------------------- > ---------------- > highprice | Coef. Std. Err. z P>|z| > [95% Conf. Interval] > -------------+------------------------------------------------ > ---------------- > volume | -.0037862 .0001296 -29.20 0.000 > -.0040403 -.0035321 > -------------------------------------------------------------- > ---------------- > Included instruments: volume > -------------------------------------------------------------- > ---------------- > r; t=50.46 12:34:19 > > Just a note that this does in fact take longer, 50.46 seconds. Also, > the 172 observations are not included in the regression as noted by > number of obs. I thought it would be best to look at the xtreg > regression without the 172 observations. So I attempted to run the > xtreg regression with the sample from xtivreg2 only to find that all > of the observations are included in the sample from xtivreg2. > > . gen mysample = e(sample) > r; t=0.20 12:35:04 > > . tab mysample > > mysample | Freq. Percent Cum. > ------------+----------------------------------- > 1 | 1,845,327 100.00 100.00 > ------------+----------------------------------- > Total | 1,845,327 100.00 > r; t=0.56 12:35:07 > > Can someone explain what is going on here? Is xtivreg2 actually using > the 172 observations or not? > > My plan is to drop the singleton groups. However, I am running > regressions with different groups of independent variables with > missing observations. This could potentially create singleton groups > again. Is there a way to make xtreg ignore the singleton groups > automatically as well? > > Additionally, does anyone know of a command that will let me calculate > the two-way clustered errors after xtreg? I don't really see the point > in running the same regression again just to cluster the errors > differently but short of coding the two-way clustered errors myself I > don't know how else to do this. > > Chris > > > Chris Parker > > ________________________________ > > PhD Candidate | Management Science & Operations > London Business School | Regent's Park | London NW1 4SA | > United Kingdom > Direct line +44 (0)20 7000 8816 | Email cparker.phd2007@london.edu > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: RE: e(sample) after xtivreg2***From:*Chris Parker <cparker.phd2007@london.edu>

**References**:**st: e(sample) after xtivreg2***From:*Chris Parker <cparker.phd2007@london.edu>

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